Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0115
Annualized Std Dev 0.2056
Annualized Sharpe (Rf=0%) -0.0561

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1505
Quartile 1 -0.0051
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0058
Maximum 0.2094
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0130
Skewness -0.3114
Kurtosis 28.6032

Downside Risk

Close
Semi Deviation 0.0096
Gain Deviation 0.0094
Loss Deviation 0.0113
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0096
Downside Deviation (0%) 0.0096
Maximum Drawdown 0.6318
Historical VaR (95%) -0.0178
Historical ES (95%) -0.0321
Modified VaR (95%) -0.0149
Modified ES (95%) -0.0149
From Trough To Depth Length To Trough Recovery
2013-03-11 2020-03-18 NA -0.6318 2023 1769 NA
2008-05-06 2008-11-20 2010-07-19 -0.5332 555 140 415
2004-02-12 2004-05-10 2004-12-28 -0.2278 221 61 160
2002-05-23 2002-07-24 2003-03-04 -0.2063 196 43 153
2011-06-09 2011-10-04 2013-03-08 -0.2061 439 82 357

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.4 -1.3 0.6 -0.6 -0.6 -0.6 0.6 -0.6 -3.1 -0.6 0 0 -4.8
2000 0 1.3 -0.7 1.3 2.7 0.6 -0.6 1.2 -1.2 -0.6 1.3 0 5.4
2001 0.8 1.1 0.3 0.9 -0.2 -0.4 0.2 0.2 -0.2 -0.1 -0.3 0.5 2.9
2002 0.7 1.5 1.7 0.8 0.4 0.6 -0.3 -0.3 -0.7 -1 -0.7 0.9 3.6
2003 -1.8 -0.5 -0.2 0.3 -0.2 -0.5 0 0.2 0.7 -0.5 1.1 -0.1 -1.4
2004 2.4 0.6 -1.6 -0.6 1 0.9 2 -1 0.3 -0.5 0.6 -0.4 3.6
2005 -0.4 -0.5 -0.8 0.4 1.8 -0.2 -0.3 0.7 0.9 0.5 -1.1 0.7 1.6
2006 -0.1 -0.6 -1.8 0.6 0.7 0.7 0.2 0.4 0.1 -0.1 -0.6 0.4 0.1
2007 0.9 -1 0.4 0.1 -0.3 0.9 -1.4 1 2.6 -0.4 1.3 1.2 5.4
2008 0.7 -1 0.7 1.3 -0.1 -1.1 3 -0.1 3.6 -2.5 -3.8 1 1.5
2009 -0.3 -2.7 -0.2 0.7 1.4 1.4 1.6 0.4 -1.2 -2.7 1.4 -0.6 -0.9
2010 2.2 1.7 0.7 0.1 1.1 0 0.4 0.8 0.1 -0.1 1.3 0.6 9.3
2011 0.2 0 0.5 0.9 -0.2 0.1 1.5 -0.1 -1.3 -0.5 -0.3 2.4 3.4
2012 0.6 0.2 0 0.7 -0.9 1.8 -1 -1.7 1.4 0.5 -0.3 1.2 2.4
2013 0.3 0.2 0.2 -0.1 -3 -0.9 -1.2 -0.1 0.7 -0.7 0.1 -1.4 -5.9
2014 -0.8 -0.7 0.6 0.4 -0.1 0.2 0.2 -0.1 -0.3 0.1 -0.4 0.2 -0.6
2015 0.2 0.4 0.4 0 -0.5 0.1 -0.4 -0.8 -1.9 0.7 1.1 0.7 0
2016 -0.3 1.9 -0.7 -0.1 1.4 0.7 -0.9 -0.3 0 0.4 -1.5 0.7 1.3
2017 -1 -1 -0.2 0.4 0.6 0.5 -0.3 0.6 0.3 0.5 0.5 -0.3 0.7
2018 0.5 -0.9 0.1 0 0.1 0.2 0 -0.3 -0.3 0.3 0.1 0.7 0.5
2019 -0.5 -0.5 0.7 0.8 -0.7 -0.2 0.4 -1.6 -1.2 0.7 0 0.9 -1.3
2020 -0.4 -1.8 -1.7 -0.9 0.4 0.1 -0.1 0 0.5 -0.4 0.4 -0.5 -4.5
2021 0.9 1.7 0.4 NA NA NA NA NA NA NA NA NA 3.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  9.62 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  9.81 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06 10    SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  9.75 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  9.62 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  9.5  SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart